predictorImportance method of ClassificationTree, or its older version, varimportance method of classregtree

Ensembles of decision trees. In particular, TreeBagger has several properties for estimation of predictor importance, especially DeltaCritDecisionSplit and OOBPermutedVarDeltaError

Discriminant analysis with thresholding available in 12a from ClassificationDiscriminant. See DeltaPredictor property.

If you can recast your classification problem as a (generalized) linear regression model, functions lasso and lassoglm would help. Also, LinearModel.stepwise and GeneralizedLinearModel.stepwise, if you have a sufficiently recent version of MATLAB.

As you see, there are plenty of options. Without knowing more about your data, it's hard to say what might work best for you.